> Does this have to be done manually? 

Yes

> Can you navigate to the interceptor-module directory and do a 'mvn clean package jboss-as:deploy'.

No. 

Because jboss-as maven plugin does not install static modules in modules directory.

> Also, can this step be done later, after server start and when the rest of it is deployed?

No. Because the WAR and EJB applications has direct dependency of this interceptor module.